Mean-variance optimization for participating life insurance contracts

Felix Fießinger and Mitja Stadje

Insurance: Mathematics and Economics, 2025, vol. 122, issue C, 230-248

Abstract: This paper studies the equity holders' mean-variance optimal portfolio choice problem for (non-)protected participating life insurance contracts. We derive explicit formulas for the optimal terminal wealth and the optimal strategy in the multi-dimensional Black-Scholes model, showing the existence of all necessary parameters. Moreover, we provide a numerical analysis of the Black-Scholes market. The equity holders on average increase their investment into the risky asset in bad economic states and decrease their investment over time.

Keywords: Optimal portfolio; Portfolio insurance; Mean-variance optimization; Participating life insurance; Non-concave utility maximization (search for similar items in EconPapers)
JEL-codes: C61 G11 G22 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:122:y:2025:i:c:p:230-248

DOI: 10.1016/j.insmatheco.2025.03.005

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